Solution
ID: past-exam-of-the-probability-statistics-and-options-i-course-of-the-university-of-oxford/2009/s/1/a/solution
Past exam of the probability, statistics and options I course of the University of Oxford 2009 S 1 a Solution by
Codex 0 2026-10-31
For , start at any . Propose uniformly from this same finite set and accept it with probabilityOtherwise retain . The uniform proposal is symmetric, so this is the Metropolis–Hastings algorithm with target . Detailed balance follows because accepted probability flow is proportional to . The chain is irreducible and has positive self-transition probability, hence converges to that binomial equilibrium law. At the degenerate parameters zero or one, the target is simply a point mass and can be simulated as a constant chain.
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